메뉴 건너뛰기




Volumn 23, Issue C, 2008, Pages 567-594

Bayesian model selection for heteroskedastic models

Author keywords

[No Author keywords available]

Indexed keywords


EID: 57349165916     PISSN: 07319053     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S0731-9053(08)23018-5     Document Type: Review
Times cited : (16)

References (41)
  • 1
    • 0002350223 scopus 로고    scopus 로고
    • Bayesian inference on GARCH models using Gibbs sampler
    • Bauwens L., and Lubrano M. Bayesian inference on GARCH models using Gibbs sampler. Econometrics Journal 1 (1998) 23-46
    • (1998) Econometrics Journal , vol.1 , pp. 23-46
    • Bauwens, L.1    Lubrano, M.2
  • 2
    • 0742271637 scopus 로고    scopus 로고
    • Deviance information criterion for comparing stochastic volatility models
    • Berg A.k., Meyer R., and Yu J. Deviance information criterion for comparing stochastic volatility models. Journal of Business and Economic Statistics 22 (2004) 107-120
    • (2004) Journal of Business and Economic Statistics , vol.22 , pp. 107-120
    • Berg, A.k.1    Meyer, R.2    Yu, J.3
  • 3
    • 42449156579 scopus 로고
    • Generalized autoregressive heteroskedasticity
    • Bollerslev T. Generalized autoregressive heteroskedasticity. Journal of Econometrics 31 (1986) 307-327
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 4
    • 0035275684 scopus 로고    scopus 로고
    • A double-threshold GARCH model for the French Franc/Deutschmark exchange rate
    • Brooks C. A double-threshold GARCH model for the French Franc/Deutschmark exchange rate. Journal of Forecasting 20 (2001) 135-143
    • (2001) Journal of Forecasting , vol.20 , pp. 135-143
    • Brooks, C.1
  • 6
    • 0141792680 scopus 로고    scopus 로고
    • Asymmetrical reaction to US stock-return news: Evidence from major stock markets based on a double-threshold model
    • Special issue on Globalization in the New Millennium: Evidence on Financial and Economic Integration
    • Chen C.W.S., Chiang T.C., and So M.K.P. Asymmetrical reaction to US stock-return news: Evidence from major stock markets based on a double-threshold model. The Journal of Economics and Business 55 (2003) 487-502 Special issue on Globalization in the New Millennium: Evidence on Financial and Economic Integration
    • (2003) The Journal of Economics and Business , vol.55 , pp. 487-502
    • Chen, C.W.S.1    Chiang, T.C.2    So, M.K.P.3
  • 7
    • 33750990462 scopus 로고    scopus 로고
    • Comparison of non-nested asymmetric heteroscedastic models
    • Special issue on Nonlinear Modelling & Financial Econometrics
    • Chen C.W.S., Gerlach R., and So M.K.P. Comparison of non-nested asymmetric heteroscedastic models. Computational Statistics and Data Analysis 51 (2006) 2164-2178 Special issue on Nonlinear Modelling & Financial Econometrics
    • (2006) Computational Statistics and Data Analysis , vol.51 , pp. 2164-2178
    • Chen, C.W.S.1    Gerlach, R.2    So, M.K.P.3
  • 11
    • 24944555208 scopus 로고    scopus 로고
    • Bayesian model choice based on Monte Carlo estimates of posterior model probabilities
    • Congdon P. Bayesian model choice based on Monte Carlo estimates of posterior model probabilities. Computational Statistics and Data Analysis 50 (2006) 346-357
    • (2006) Computational Statistics and Data Analysis , vol.50 , pp. 346-357
    • Congdon, P.1
  • 12
    • 33947265275 scopus 로고    scopus 로고
    • Model weights for model choice and averaging
    • Congdon P. Model weights for model choice and averaging. Statistical Methodology 4 (2007) 143-157
    • (2007) Statistical Methodology , vol.4 , pp. 143-157
    • Congdon, P.1
  • 13
    • 0000051984 scopus 로고
    • Autoregressive, conditional heteroskedasticity with estimates of the variance of United Kingdom inflation
    • Engle R.F. Autoregressive, conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50 (1982) 987-1007
    • (1982) Econometrica , vol.50 , pp. 987-1007
    • Engle, R.F.1
  • 14
    • 0000954353 scopus 로고    scopus 로고
    • Efficient metropolis jumping rules
    • Bernardo J.M., Berger J.O., Dawid A.P., and Smith A.F.M. (Eds), Oxford University Press, London
    • Gelman A., Roberts G., and Gilks W. Efficient metropolis jumping rules. In: Bernardo J.M., Berger J.O., Dawid A.P., and Smith A.F.M. (Eds). Bayesian statistics 5 (1996), Oxford University Press, London
    • (1996) Bayesian statistics 5
    • Gelman, A.1    Roberts, G.2    Gilks, W.3
  • 16
    • 57849096667 scopus 로고    scopus 로고
    • Gerlach, R., & Chen, C. W. S. (2008). Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models, Statistics and Computing (to appear in the Special Issue on Adaptive Monte Carlo Methods). Forthcoming, DOI:10.1007/s11222-088-9063-1.
    • Gerlach, R., & Chen, C. W. S. (2008). Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models, Statistics and Computing (to appear in the Special Issue on Adaptive Monte Carlo Methods). Forthcoming, DOI:10.1007/s11222-088-9063-1.
  • 18
    • 31744446464 scopus 로고    scopus 로고
    • MCMC methods for comparing stochastic volatility and GARCH models
    • Gerlach R., and Tuyl F. MCMC methods for comparing stochastic volatility and GARCH models. International Journal of Forecasting 22 (2006) 91-107
    • (2006) International Journal of Forecasting , vol.22 , pp. 91-107
    • Gerlach, R.1    Tuyl, F.2
  • 19
    • 57349115193 scopus 로고    scopus 로고
    • Geweke J. (1995). Bayesian comparison of econometric models. Working Paper 532. Research Department, Federal Reserve Bank of Minneapolis.
    • Geweke J. (1995). Bayesian comparison of econometric models. Working Paper 532. Research Department, Federal Reserve Bank of Minneapolis.
  • 20
    • 84993601065 scopus 로고
    • On relationship between the expected value and the volatility of the nominal excess return on stocks
    • Glosten L., Jagannathan R., and Runke D. On relationship between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance 487 (1993) 1779-1801
    • (1993) Journal of Finance , vol.487 , pp. 1779-1801
    • Glosten, L.1    Jagannathan, R.2    Runke, D.3
  • 21
    • 0035591051 scopus 로고    scopus 로고
    • On the relationship between Markov chain Monte Carlo methods for model uncertainty
    • Godsill S.J. On the relationship between Markov chain Monte Carlo methods for model uncertainty. Journal of Computational and Graphical Statistics 10 (2001) 1-19
    • (2001) Journal of Computational and Graphical Statistics , vol.10 , pp. 1-19
    • Godsill, S.J.1
  • 22
    • 77956889087 scopus 로고
    • Reversible jump MCMC computation and Bayesian model determination
    • Green P.J. Reversible jump MCMC computation and Bayesian model determination. Biometrika 82 (1995) 711-732
    • (1995) Biometrika , vol.82 , pp. 711-732
    • Green, P.J.1
  • 23
    • 77956890234 scopus 로고
    • Monte-Carlo sampling methods using Markov chains and their applications
    • Hastings W.K. Monte-Carlo sampling methods using Markov chains and their applications. Biometrika 57 (1970) 97-109
    • (1970) Biometrika , vol.57 , pp. 97-109
    • Hastings, W.K.1
  • 25
    • 0000672177 scopus 로고
    • Modelling asymmetry in stock returns by a threshold ARCH model
    • Li W.K., and Lam K. Modelling asymmetry in stock returns by a threshold ARCH model. The Statistician 44 (1995) 333-341
    • (1995) The Statistician , vol.44 , pp. 333-341
    • Li, W.K.1    Lam, K.2
  • 26
    • 21344443427 scopus 로고    scopus 로고
    • On a double-threshold autoregressive heteroscedastic time series model
    • Li C.W., and Li W.K. On a double-threshold autoregressive heteroscedastic time series model. Journal of Applied Econometrics 11 (1996) 253-274
    • (1996) Journal of Applied Econometrics , vol.11 , pp. 253-274
    • Li, C.W.1    Li, W.K.2
  • 28
    • 0000641348 scopus 로고
    • Conditional heteroskedasticity in asset returns: A new approach
    • Nelson D.B. Conditional heteroskedasticity in asset returns: A new approach. Econometrica 59 (1991) 347-370
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Nelson, D.B.1
  • 29
    • 0003078723 scopus 로고
    • Approximate Bayesian inference by the weighted likelihood bootstrap (with discussion)
    • Newton M.A., and Raftery A.E. Approximate Bayesian inference by the weighted likelihood bootstrap (with discussion). Journal of the Royal Statistical Society, Series B 56 (1994) 3-48
    • (1994) Journal of the Royal Statistical Society, Series B , vol.56 , pp. 3-48
    • Newton, M.A.1    Raftery, A.E.2
  • 30
    • 57349103065 scopus 로고    scopus 로고
    • Osiewalski, J., Pajor, A., & Pipien, M. (2007). Bayesian comparison of bivariate GARCH, SV and hybrid models, MACROMODELS 2006. Proceedings of the 33rd international conference (pp. 247-277).
    • Osiewalski, J., Pajor, A., & Pipien, M. (2007). Bayesian comparison of bivariate GARCH, SV and hybrid models, MACROMODELS 2006. Proceedings of the 33rd international conference (pp. 247-277).
  • 31
    • 0344547293 scopus 로고    scopus 로고
    • Forecasting volatility in financial markets: A review
    • Poon S.H., and Granger C.W.J. Forecasting volatility in financial markets: A review. Journal of Economic Literature 41 (2003) 478-539
    • (2003) Journal of Economic Literature , vol.41 , pp. 478-539
    • Poon, S.H.1    Granger, C.W.J.2
  • 32
    • 57349114630 scopus 로고    scopus 로고
    • Robert, C., & Marin, J.-M. (2008). On some difficulties with a posterior probability approximation technique. Unpublished INRIA working paper; available at http://hal.inria.fr/inria-00260507/en
    • Robert, C., & Marin, J.-M. (2008). On some difficulties with a posterior probability approximation technique. Unpublished INRIA working paper; available at http://hal.inria.fr/inria-00260507/en
  • 33
    • 0036489069 scopus 로고    scopus 로고
    • Bayesian methods for hidden Markov models: Recursive computing in the 21st Century
    • Scott S. Bayesian methods for hidden Markov models: Recursive computing in the 21st Century. Journal of the American Statistical Association 97 (2002) 337-351
    • (2002) Journal of the American Statistical Association , vol.97 , pp. 337-351
    • Scott, S.1
  • 36
    • 13244287897 scopus 로고    scopus 로고
    • A Bayesian threshold nonlinearity test in financial time series
    • So M.K.P., Chen C.W.S., and Chen M.T. A Bayesian threshold nonlinearity test in financial time series. Journal of Forecasting 24 (2005) 61-75
    • (2005) Journal of Forecasting , vol.24 , pp. 61-75
    • So, M.K.P.1    Chen, C.W.S.2    Chen, M.T.3
  • 37
    • 33644624381 scopus 로고    scopus 로고
    • Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors
    • So M.K.P., Chen C.W.S., and Liu F.C. Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors. Journal of the Royal Statistical Society, Series C 55 (2006) 201-224
    • (2006) Journal of the Royal Statistical Society, Series C , vol.55 , pp. 201-224
    • So, M.K.P.1    Chen, C.W.S.2    Liu, F.C.3
  • 39
    • 0018067185 scopus 로고
    • On a threshold model
    • Chen C.H. (Ed), Sijhoff & Noordhoff, Amsterdam
    • Tong H. On a threshold model. In: Chen C.H. (Ed). Pattern recognition and signal processing (1978), Sijhoff & Noordhoff, Amsterdam
    • (1978) Pattern recognition and signal processing
    • Tong, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.